To confront the challenge that disaster risk is “dark matter” in finance, we construct an
objective measure of disaster risk, which is able to predict half of GDP crashes in a sample
of 20 advanced economies between 1870 and 2021. Despite this significant predictability,
we find no supportive, and often contradictory, evidence of higher predicted disaster risk
being associated with a higher equity premium, volatility, or dividend/price ratio of the equity
market index; higher corporate bond spreads, or higher term spreads. Our results suggest …

To confront the challenge that disaster risk is “dark matter” in finance, we construct an
objective measure of disaster risk, which is able to predict half of GDP crashes in a sample
of 20 advanced economies between 1870 and 2021. Despite this significant predictability,
we find no supportive, and often contradictory, evidence of higher predicted disaster risk
being associated with a higher equity premium, volatility, or dividend/price ratio of the equity
market index; higher corporate bond spreads; or higher term spreads. Our results suggest a …